Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1541
Annualized Std Dev 0.2666
Annualized Sharpe (Rf=0%) 0.5778

Row

Daily Return Statistics

Close
Observations 3699.0000
NAs 1.0000
Minimum -0.1053
Quartile 1 -0.0084
Median 0.0010
Arithmetic Mean 0.0007
Geometric Mean 0.0006
Quartile 3 0.0102
Maximum 0.1577
SE Mean 0.0003
LCL Mean (0.95) 0.0002
UCL Mean (0.95) 0.0013
Variance 0.0003
Stdev 0.0168
Skewness 0.1067
Kurtosis 4.2509

Downside Risk

Close
Semi Deviation 0.0119
Gain Deviation 0.0115
Loss Deviation 0.0114
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.4052
Historical VaR (95%) -0.0262
Historical ES (95%) -0.0374
Modified VaR (95%) -0.0250
Modified ES (95%) -0.0366
From Trough To Depth Length To Trough Recovery
2015-07-20 2016-02-11 2018-01-12 -0.4052 628 144 484
2008-08-15 2008-11-21 2009-08-04 -0.3983 244 70 174
2011-04-29 2011-11-25 2012-07-18 -0.3404 308 147 161
2018-09-28 2018-12-24 2020-05-11 -0.2805 406 60 346
2007-10-16 2008-03-17 2008-08-11 -0.2202 207 105 102

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 2.4 -1.8 0.7 0 -1.5 -0.8 -0.4 -1.5
2007 1.2 -1.6 1.1 0 0.5 -1 -1.4 1.2 0.7 -1.8 0.7 -0.9 -1.4
2008 1.9 -1.8 3.6 2.2 -0.4 1.3 -1.8 -0.6 -0.5 2.3 -5.7 2.3 2.6
2009 -1.1 -3.7 -2.4 -1 1 -1.5 -1 -2.7 -3.5 -2.1 1.3 -0.6 -16
2010 1 5.8 1.2 -1.7 -1.1 -2.2 0.8 3.1 0.2 -0.5 1.5 -0.5 7.5
2011 0.7 -0.7 0.5 -3.3 -1.2 1.1 -1.9 -2.2 -2 -3 0.5 0.2 -10.7
2012 2.7 1.5 0.8 0.1 -3.1 2.5 -1.4 0 0.7 2.4 -0.4 1.7 7.5
2013 1.2 1.3 -0.7 -1.9 -1.6 2.4 2.1 -1.5 2.1 0.6 0.2 -0.3 3.8
2014 -1.5 -2.2 2.5 0.7 -0.6 2.2 0.2 1.6 -1.4 0.2 -1.1 -0.4 0.2
2015 -0.1 -0.8 -0.9 3.3 -0.6 -0.4 1.1 -2.7 0.3 -1.2 0.4 -0.6 -2.4
2016 0.1 5 2.7 -2.4 0.6 2.5 2.4 0.3 1.2 1.3 -2.1 -0.7 11.2
2017 0.6 1.6 0.2 0.8 2.2 -0.6 -0.9 0.5 0.4 -0.5 0.2 -1.1 3.3
2018 0.7 -1.4 0.2 1 1.6 1.9 0.6 -0.1 -0.6 4.7 0.7 2.3 11.9
2019 0.5 0.7 0.2 -1.4 -1.3 0.3 0.7 -0.7 -1.6 2.3 -0.2 0.2 -0.3
2020 -1.3 1.6 -3.1 -2.7 -0.1 1.2 -1.9 -2.2 0.8 -0.8 1.2 -0.8 -7.9
2021 1.2 1.1 1.5 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-06-23  19.9 SPY    124. -2.00e-4  -0.0017  -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045    0.0054
2 2006-06-26  20.1 SPY    125.  4.40e-3   0.0107  -0.0215  -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005     0.0341
3 2006-06-27  20.0 SPY    124. -8.60e-3  -0.0015  -0.0348  -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103    0.0066
4 2006-06-28  19.6 SPY    125.  6.80e-3  -0.0021  -0.0107  -0.0406   0.0383    0.277   0.0075 GLD    57.5 -0.00240  -0.0135
5 2006-06-29  20.3 SPY    127.  2.02e-2   0.0226  -0.0019  -0.0195   0.0621    0.304   0.036  GLD    59.5  0.0344    0.031 
6 2006-06-30  20.8 SPY    127. -3.00e-4   0.0224  -0.0117  -0.02     0.0675    0.291   0.0453 GLD    61.2  0.0287    0.0559
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart